Modeling and pricing long memory in stock market volatility

Journal of Econometrics

Volumn 73, Issue 1, 1996, Pages 151-184

  Bollerslev, Tim ^a   Mikkelsen, Hans Ole ^b  

^a UNIVERSITY OF VIRGINIA   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Fractional integrated EGARCH; Mean reversion; Model selection; Option pricing; Stock market volatility

Indexed keywords

EID: 0000658462     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01736-4     Document Type: Article

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